Search Results - subject:"Autoregressive Conditional Hazard"

Odusami, Babatunde Olatunji - In: Journal of economics & business 113 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012518307

Dunbar, Kwamie; Amin, Abu S. - In: Review of Financial Economics 21 (2012) 3, pp. 141-152

target on credit risk premia. The paper's main innovation is the use of an ACH-VAR (autoregressive conditional hazard VAR …

Persistent link: https://www.econbiz.de/10010875035

Christensen, T.M.; Hurn, A.S.; Lindsay, K.A. - In: International Journal of Forecasting 28 (2012) 2, pp. 400-411

nonlinear variant of the autoregressive conditional hazard model is used to model this process. The model is estimated using …

Persistent link: https://www.econbiz.de/10010573806

Dunbar, Kwamie; Amin, Abu S. - In: Review of financial economics : RFE 21 (2012) 3, pp. 141-152

Persistent link: https://www.econbiz.de/10009703026